Nematrian Reference Library
[this page | back links]
Set out below is information (held by the Nematrian website) on the reference you have selected
Pages on this website that contain links to this reference include CalibratingPriorsToMarketImpliedData1
|Kemp, M.H.D. (2005)||Risk Management in a Fair Valuation World||here
"This paper considers the impact that the current trend towards fair valuation of assets and liabilities is likely to have on risk measurement and management practices within the financial services industry. The paper analyses the different sorts of risks faced by organisations such as asset managers, pension funds, banks and insurers and seeks to identify how their approach to the measurement and management of these sorts of risks might change as fair valuation becomes more entrenched. It argues that what it describes as traditional `time series' based risk measurement is likely to be progressively displaced over time by a greater emphasis on what the paper refers to as `derivative pricing' (or `fair value' or `market consistent') based risk modelling. It comments on the trend towards liability driven investment. The paper focuses on `financial' risks (market, credit, liquidity and, more generally, asset/liability risk) rather than ªoperational'' risks, whilst noting that the dividing line between the two can be open to interpretation. Insurance risk is seen as in some respects straddling both camps."
to choose a new Category/Sub-Category or here
for a list of all references held by the Nematrian website. Please contact us
if any of the above material is inaccurate or if there are references you think should be included that we have excluded or vice-versa.